Estimation and properties of a time-varying GQARCH(1,1)-M model
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Publication:642451
DOI10.1155/2011/718647zbMath1228.62105WikidataQ58692058 ScholiaQ58692058MaRDI QIDQ642451
Antonis Demos, Sofia Anyfantaki
Publication date: 26 October 2011
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2011/718647
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
62F15: Bayesian inference
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model, Estimation and properties of a time-varying GQARCH(1,1)-M model
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